highfrequency

Background

The highfrequency package is the go-to package for the analysis of intraday price data. The package was created as a merger of the packages RTAQ and realized in 2012. The package underwent a major rewrite last year improving the process and stability of the package but is in need of additional functionality that reflects current developments in financial econometrics and empirical finance.

Related work

There is the HighFreq package that provides some functionality to aggregate trades and quotes data.

Details of your coding project

• Improved functionality to deal with ultra-high frequency data:

• Estimators for the serial correlation in microstructure noise (Jacod, J., Li, Y., & Zheng, X. (2017). Statistical properties of microstructure noise. Econometrica, 85(4), 1133-1174. Li, Z. M., & Linton, O. B. (2019). A ReMeDI for microstructure noise.)

• Calculation and evaluation of jump matrix based on intraday tests (Li, J., Todorov, V, Tauchen, G. & Lin, H. 2019. Rank Tests at Jump Events. Journal of Business and Economic Statistics. 37: 312-321.)

• Cholesky-based realized covariance estimation (Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R., & Sauri, O. (2017). Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. Journal of econometrics, 196(2), 347-367.)

• Jump tests that are robust to drift burst.

• Fixing bugs

  • Some bug

• Data

  • Euronext data support for facilitating research on European stock price determinants

• Features

Expected impact

The changes to the package reflect the requests of different users of the highfrequency package. Addressing those needs will thus be useful for the R community.

Mentors

Kris Boudt, Onno Kleen, Nabil Bouamara.